I think I do this a lot in the mornings that I can actually sleep in - like this morning, actually. I'll be having a dream, and wake up for whatever reason (usually it's the damn cats wanting to be fed), and I'll roll over and immediately fall back to sleep. This is when I have my most vivid and lucid dreams. I think it's because I'm not sleeping so deeply and if I wake up, the dream is still very clear to me and I can jot it down.